what kind of an application are you firing up, if it is ut2k3 yeah i share the same problem, but if it is general such as terminal or file manager etc. then something is wrong.
Basically is some background process running which is chewing up your cpu time. I forgot wether it is ps -v or ps -l k ??? . In window2k you can see the thread and cpu time allocation but in linux you can actually manage it
but try typing "man ps" and see the option which allows you to monitor how your kernel is allocating the cpu threads or active thread processes (i am not sure if it works on all versions of linux or only on turbo linux???).
Once i had that problem when i set up an active background and had its thread priority at full. It made my system slow every time i moved my mouse
and i got worried it was some virus on linux !!!